How to avoid caching when values are null?

Just throw some Exception if user is not found and catch it in client code while using get(key) method.

new CacheLoader<ObjectId, User>() {
    @Override
    public User load(ObjectId k) throws Exception {
        User u = DataLoader.datastore.find(User.class).field("_id").equal(k).get();
        if (u != null) {
             return u;
        } else {
             throw new UserNotFoundException();
        }
    }
}

From CacheLoader.load(K) Javadoc:

Returns:  
  the value associated with key; must not be null  
Throws:  
  Exception - if unable to load the result

Answering your doubts about caching null values:

Returns the value associated with key in this cache, first loading that value if necessary. No observable state associated with this cache is modified until loading completes.

(from LoadingCache.get(K) Javadoc)

If you throw an exception, load is not considered as complete, so no new value is cached.

EDIT:

Note that in Caffeine, which is sort of Guava cache 2.0 and "provides an in-memory cache using a Google Guava inspired API" you can return null from load method:

 Returns:
   the value associated with key or null if not found

If you may consider migrating, your data loader could freely return when user is not found.

Simple solution: use com.google.common.base.Optional<User> instead of User as value.

public final static LoadingCache<ObjectId, Optional<User>> UID2UCache = CacheBuilder.newBuilder()
        ...
        .build(
        new CacheLoader<ObjectId, Optional<User>>() {
            @Override
            public Optional<User> load(ObjectId k) throws Exception {
                return Optional.fromNullable(DataLoader.datastore.find(User.class).field("_id").equal(k).get());
            }
        });

EDIT: I think @Xaerxess' answer is better.

Faced the same issue, cause missing values in the source was part of the normal workflow. Haven't found anything better than to write some code myself using getIfPresent, get and put methods. See the method below, where local is Cache<Object, Object>:

private <K, V> V getFromLocalCache(K key, Supplier<V> fallback) {
    @SuppressWarnings("unchecked")
    V s = (V) local.getIfPresent(key);
    if (s != null) {
        return s;
    } else {
        V value = fallback.get();
        if (value != null) {
            local.put(key, value);
        }
        return value;
    }
}